SWIM 0.2.2

Major changes: Additional functions and features

• plot_quantile():
  • the function plots the empirical quantile of model components, subject to scenario weights.
• plot_weights():
  • the function plots the scenario weights of a stressed model against model components.
• stress_moment():
  • add parameter “normalise” that allows to linearly normalise the values called by nleqslv.
  • the function prints a table with the required and achieved moments and the absolute and relative error.
• stress_VaR_ES():
  • add parameter “normalise” that allows to linearly normalise the values before uniroot is applied.

Minor changes

• fix bug in merging different stress objects.

SWIM 0.2.1 - current version on CRAN

Minor changes

• add vignette
• fix bug in merge().
• fix bug in sensitivity().

SWIM 0.2.0

Major changes

Additional functions and data sets

• VaR_stressed():
  • the function calculates the VaR of model components, subject to scenario weights.
• ES_stressed():
  • the function calculates the ES of model components, subject to scenario weights.
• credit_data:
  • a data set containing aggregate losses from a credit portfolio, generated through a binomial credit model.

Amendments to functions

• stress_VaR():
  • amendment to the calculation of scenario weights when the specified VaR cannot be achieved.
  • returns a message if the achieved VaR is not equal to the stressed VaR specified.
  • specs of the SWIM object contains the achieved VaR
  • allowing for stressing VaR downwards
• stress_VaR_ES():
  • amendment analogous to the stress_VaR().
  • returns a message if the achieved VaR is not equal to the stressed VaR specified.
  • specs of the SWIM object contains the achieved VaR
  • allowing for stressing VaR and ES downwards

Minor changes

• stress():
  • parameter x can have missing column names.
• stress_moment():
  • additional parameter show; if TRUE (default is FALSE), the result of nleqslv() is printed.